List obscure concepts/ formulas that are good to know

Texas Hedge - opposite of a hedge, doubling risk exposure “long underlying + long call”

footnote 34 currency reading

Never noticed that before.

Don’t think I want to either.

Calmar and Sterling ratios

Texas Wedge - putter in golf

something random would be applying Banyes Formula… I could see a really dumb 3 point AM question on it

Probably the two estate tax formulas. Estate tax taxable and capital gains.

These two are not obscure at all… you better know them in 11 days!

I think :

  • Taxes (also RV of gifts)

  • Equivalen tax rate ( I mean when you aggregate Income, Capital & Wealth taxes)

  • Tax source residence methods (credit, exemption, deduction methods)

  • All of the CME formulas ( fed/ yardeni / CAPE )

  • Equity Market Valuation ( Cobb Douglas)

  • Grindol formula for return

  • Singer formula ( market integration / segmentation)

  • Formulas to calculate # titles of futures for equity / bonds ( yield beta , conversion factor ) / swaps ( the notional of the swap)

  • Effective Interest Rate when using options

  • Return of a leveraged portfolio

  • Duration of a leveraged portfolio

  • Payoffs of strategies with derviatives ( so you can calculate all the questions of maximum profit etc)

  • Return of investing in commodities futures ( so you understand roll / underlying and collateral return)

  • Utility funcion ( return - risk aversion parameter *.005* standard deviation)

  • All RAPM ( sortino ratio, treynor , jensen alpha, M2) etc

  • Taylor rule (always remember that you use target & trend - forecast ( for each, inflation and GDP), dont get a mistake by getting confused in what is negative and which is the positive, remember to add the neutral rate.

  • The 3 micro performance attribution formulas ( selection, allocation & interaction)

  • Macro performance attribution formula ( you know risk free rate + net contributions +…)

  • VWAP & Implementation shortfall formulas ( hhfggg)

  • Effective spread formula ( this is silly but remember to multiply by 2)

  • Not a formula but the concept regarding the CPPI, constant mix & buy and hold strategies in rebalancing.

I will update this if i remember some more.

I think formulas-questions have to be a “no brainer” for us. Its just memorizing, I know is difficult but c’mon in one full day we all can make it!! I mean, imagine you studied 5 - 6 months and you get a question wrong just because you didnt give you the time to memorize an stupid formula!! In 15 days we must make a compromise to memorize all of the f** formulas!!


^those are basically the core curriculum lol

[Factor one * (Beta(a)(b)] + [Factor two * (Beta©(d)] + [Covariance Factor, (Beta(a)(d) + Beta(b)©]

cov(i,j) = sum[b(i,m)\*b(j,n)\*cov(Fm, Fn)]

Just bumped into this on Capital Market Expectations - OReilly

Shrinkage estimator: A weighted average of correlation (or covariance) matrices created from at least two different correlation (or covariance) matrices generated from different sources.

yes, because maybe oscure formulas for me are easy for you and viceversa, i preferred to put all I remember.